Stock jump, underperformance and undervaluation: evidence from emerging market
| Main Authors: | Rudiawarni, Felizia Arni, Sulistiawan, Dedhy, Frendy, Frendy |
|---|---|
| Format: | Article PeerReviewed application/pdf |
| Bahasa: | eng |
| Terbitan: |
Inderscience Publishers
, 2023
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| Subjects: | |
| Online Access: |
http://repository.ubaya.ac.id/43187/ https://www.inderscience.com/info/inarticle.php?artid=128494 |
Daftar Isi:
- This paper examines the ability of underperforming and undervalued stocks to stimulate stock jumps. Our study also considers firm’s systematic risk as an important factor stimulating positive skewness of return which proxied for the stock jump. Using Indonesian data from 2016 until 2018, our findings show that underperforming stocks generally experience a positive stock jump in the subsequent period. Overperforming stocks that are undervalued also produce higher positive skewness of return. Our findings show that undervalued high-risk stocks are likely to trigger a stock jump. These findings have practical implications for both risk-averse and risk-seeking investors.